Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
584 0 0 0 100% 1,271.009

Note: failures are anticipated and checked for with assertions while errors are unanticipated.


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
net.finmath.montecarlo.interestrate 87 0 0 0 100% 584.518
net.finmath.montecarlo.automaticdifferentiation 89 0 0 0 100% 28.452
net.finmath.rootfinder 1 0 0 0 100% 0.064
net.finmath.fouriermethod 10 0 0 0 100% 9.293
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.1
net.finmath.marketdata.products 3 0 0 0 100% 0.079
net.finmath.fouriermethod.calibration 2 0 0 0 100% 3.183
net.finmath.time 34 0 0 0 100% 1.482
net.finmath.integration 3 0 0 0 100% 0.13
net.finmath.stochastic 20 0 0 0 100% 0.063
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.278
net.finmath.convexityadjustment 1 0 0 0 100% 0.478
net.finmath.modelling 1 0 0 0 100% 2.682
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.609
net.finmath.optimizer 12 0 0 0 100% 0.608
net.finmath.montecarlo.automaticdifferentiation.backward 19 0 0 0 100% 97.766
net.finmath.randomnumbers 1 0 0 0 100% 1.249
net.finmath.marketdata.model.curves 18 0 0 0 100% 1.519
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 13.15
net.finmath.time.daycount 3 0 0 0 100% 0.122
net.finmath.fouriermethod.products 1 0 0 0 100% 0.114
net.finmath.information 2 0 0 0 100% 0.059
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 22.315
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 128.824
net.finmath.modelling.descriptor 6 0 0 0 100% 66.1
net.finmath.montecarlo.assetderivativevaluation 69 0 0 0 100% 30.117
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.634
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 21.209
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 112.089
net.finmath.modelling.productfactory 2 0 0 0 100% 2.6
net.finmath.finitedifference 1 0 0 0 100% 0.161
net.finmath.montecarlo 67 0 0 0 100% 135.637
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.882
net.finmath.interpolation 1 0 0 0 100% 0.576
net.finmath.functions 22 0 0 0 100% 3.867

Note: package statistics are not computed recursively, they only sum up all of its testsuites numbers.

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 3.317
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 96.016
LIBORMarketModelCalibrationTest 2 0 0 0 100% 234.062
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 99.902
LIBORMarketModelInterpolationTest 3 0 0 0 100% 14.958
HullWhiteModelTest 9 0 0 0 100% 9.624
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 62.982
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.786
LIBORMarketModelValuationTest 40 0 0 0 100% 62.871

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.088
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.09
RandomVariableDifferentiableTest 52 0 0 0 100% 27.263
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.011

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.064

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.438
HestonModelCallOptionTest 2 0 0 0 100% 0.223
VarianceGammaCallOptionTest 3 0 0 0 100% 5.677
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 2.955

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.1

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.079

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.947
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 1.236

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.067
ScheduleGeneratorTest 3 0 0 0 100% 0.073
FloatingpointDateTest 3 0 0 0 100% 1.255
TimeDiscretizationTest 20 0 0 0 100% 0.087

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.063
SimpsonRealIntegratorTest 2 0 0 0 100% 0.067

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.063

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.119
FPMLParserTest 1 0 0 0 100% 0.159

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.478

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.682

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.609

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.182
LevenbergMarquardtTest 6 0 0 0 100% 0.134
OptimizerFactoryTest 2 0 0 0 100% 0.16
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.132

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.068
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 97.698

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.249

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.278
CalibrationMultiCurveTest 1 0 0 0 100% 0.702
CurveTest 1 0 0 0 100% 0.122
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.061
DiscountCurveSerializationTest 1 0 0 0 100% 0.08
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.212
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.064

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 13.15

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.059
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.063

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.114

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.059

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.485
SwapLegTest 5 0 0 0 100% 7.59
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 5.901
SwaptionNormalTest 1 0 0 0 100% 2.166
InterestRateProductTest 3 0 0 0 100% 4.173

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 29.227
LIBORIndexTest 60 0 0 0 100% 99.597

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 17.697
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 3.856
VarianceGammaModelDescriptorTest 1 0 0 0 100% 41.679
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.288
HestonModelDescriptorTest 1 0 0 0 100% 1.58

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 1.237
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 5.539
VarianceGammaModelTest 1 0 0 0 100% 2.796
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.233
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.324
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.694
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.166
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 4.119
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 5.586
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.221
MertonModelTest 1 0 0 0 100% 3.028
HestonModelTest 2 0 0 0 100% 3.192
DisplacedLognomalModelTest 1 0 0 0 100% 1.982

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 0.634

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.114
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 19.095

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.143
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 111.582
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.364

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.6

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.161

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 98.553
GammaProcessTest 1 0 0 0 100% 6.134
RandomVariableTest 45 0 0 0 100% 29.288
VarianceGammaTest 1 0 0 0 100% 1.662

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.242
TestCurvesFromLIBORModel 1 0 0 0 100% 0.64

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.576

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.339
JarqueBeraTestTest 1 0 0 0 100% 0.092
LinearAlgebraTest 3 0 0 0 100% 0.083
BarrierOptionsTest 8 0 0 0 100% 0.092
AnalyticFormulasTest 8 0 0 0 100% 3.261

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 3.164

NormalDistributionTest

testCumulativeDistribution 0.089
testInverseCumulativeDistribution 0.196

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0.965
testModelRandomVariable 0.016
testEuropeanCallVega 0.099
testEuropeanCallDelta 0.065
testEuropeanCall 0.012
testModelProperties 0.015

MertonModelDescriptorTest

test 17.641

DayCountConvention_30E_360Test

test 0.001

JarqueBeraTestTest

test 0.039

BrownianMotionTest

testBrownianIncrementSquaredDrift[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 4.046
testSerialization[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.042
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 5.561
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 2.661
testDensity[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 13.012
testBrownianIncrementSquaredDrift[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 3.116
testSerialization[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.029
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 5.39
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 3.18
testDensity[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 12.881
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 4.145
testSerialization[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.029
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 5.361
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 2.481
testDensity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 12.737
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 3.185
testSerialization[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.034
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 5.358
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 2.496
testDensity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 12.734

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd[0] 0.003
testTypePriorityCap[0] 0.001
testTypePriorityMult[0] 0
testTypePriorityFloor[0] 0.001
testTypePriorityAdd[1] 0
testTypePriorityCap[1] 0.001
testTypePriorityMult[1] 0
testTypePriorityFloor[1] 0.001
testTypePriorityAdd[2] 0.004
testTypePriorityCap[2] 0
testTypePriorityMult[2] 0.001
testTypePriorityFloor[2] 0
testTypePriorityAdd[3] 0.001
testTypePriorityCap[3] 0.001
testTypePriorityMult[3] 0
testTypePriorityFloor[3] 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog[0] 0.006
testArithmeticSqrtMultSqrt[0] 0
testArithmeticSqrtSquared[0] 0.001
testArithmeticDivSelf[0] 0
testArithmeticSubSelf[0] 0
testArithmeticExpLog[1] 0
testArithmeticSqrtMultSqrt[1] 0
testArithmeticSqrtSquared[1] 0.001
testArithmeticDivSelf[1] 0
testArithmeticSubSelf[1] 0
testArithmeticExpLog[2] 0.006
testArithmeticSqrtMultSqrt[2] 0.001
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0
testArithmeticSubSelf[2] 0
testArithmeticExpLog[3] 0
testArithmeticSqrtMultSqrt[3] 0.001
testArithmeticSqrtSquared[3] 0
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.325
testSingleCurveModel 1.1

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.101
testForwardCurveFromDiscountCurve[LINEAR] 0.002
testCurvesAndCalibration[CUBIC_SPLINE] 0.009
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.002
testCurvesAndCalibration[AKIMA] 0.038
testForwardCurveFromDiscountCurve[AKIMA] 0.002
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.006
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE] 0.038
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.001

GammaProcessTest

testScaling 6.078

LIBORMarketModelNormalAADSensitivitiesTest

testDelta[Caplet maturity 5.0] 5.753
testVega[Caplet maturity 5.0] 5.365
testGenericDelta[Caplet maturity 5.0] 3.703
testDelta[Caplet maturity 10.0] 5.494
testVega[Caplet maturity 10.0] 5.909
testGenericDelta[Caplet maturity 10.0] 3.475
testDelta[Caplet maturity 30.0] 6.468
testVega[Caplet maturity 30.0] 6.915
testGenericDelta[Caplet maturity 30.0] 4.592
testDelta[Swaption 30.0 in 40.0] 6.973
testVega[Swaption 30.0 in 40.0] 7.469
testGenericDelta[Swaption 30.0 in 40.0] 5.068
testDelta[Bermudan Swaption 30.0 in 40.0] 9.303
testVega[Bermudan Swaption 30.0 in 40.0] 10.973
testGenericDelta[Bermudan Swaption 30.0 in 40.0] 8.437

CurveEstimationTest

testRegressionMatrix 0
testLinearInterpolation 0.014

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 32.409
testATMSwaptionCalibration 201.573

ScalarTest

testAbs 0.001
testAdd 0
testCap 0
testDiv 0
testSub 0
testSubRatio 0
testFloor 0
testIsNaN 0
testMult 0
testSqrt 0
testArrayOf 0
testAddRatio 0
testGetAverage 0
testAddProduct 0
testDiscount 0
testAccrue 0
testChoose 0
testEquals 0
testInvert 0
testSquared 0

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 2.737
testProductAADSensitivities 2.743

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.009

HestonDaxCalibrationTest

test 1.888

SwapLegTest

testFloatLeg 2.089
testCMSSpreadLeg 1.783
testFixLeg 1.166
testLIBORInArrearsFloatLeg 1.235
testCMSFloatLeg 1.253

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.052

RandomVariableDifferentiableTest

testRandomVariableExpectation[0] 0.067
testRandomVariableSimpleGradient2[0] 0
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 2.032
testRandomVariableGradientBigSumWithConstants[0] 0.308
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.044
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.096
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 5.145
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.009
testRandomVariableSimpleGradient2[1] 0.001
testRandomVariableSimpleGradient[1] 0
testRandomVariableGradientBiggerSum[1] 0.794
testRandomVariableGradientBigSumWithConstants[1] 0.089
testRandomVariableArithmeticSqrtPow[1] 0.001
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.019
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.046
testRandomVariableStochastic[1] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 5.268
testRandomVariableDeterministc[1] 0.001
testRandomVariableExpectation[2] 0.01
testRandomVariableSimpleGradient2[2] 0.001
testRandomVariableSimpleGradient[2] 0
testRandomVariableGradientBiggerSum[2] 1.694
testRandomVariableGradientBigSumWithConstants[2] 0.073
testRandomVariableArithmeticSqrtPow[2] 0.001
testRandomVariableStandardDeviation[2] 0
testRandomVariableGradientBigSum2[2] 0.039
testRandomVariableArithmeticSquaredPow[2] 0
testRandomVariableGradientBigSum[2] 0.101
testRandomVariableStochastic[2] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[2] 5.128
testRandomVariableDeterministc[2] 0
testRandomVariableExpectation[3] 0.008
testRandomVariableSimpleGradient2[3] 0
testRandomVariableSimpleGradient[3] 0
testRandomVariableGradientBiggerSum[3] 0.763
testRandomVariableGradientBigSumWithConstants[3] 0.054
testRandomVariableArithmeticSqrtPow[3] 0
testRandomVariableStandardDeviation[3] 0
testRandomVariableGradientBigSum2[3] 0.02
testRandomVariableArithmeticSquaredPow[3] 0
testRandomVariableGradientBigSum[3] 0.053
testRandomVariableStochastic[3] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[3] 5.317
testRandomVariableDeterministc[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 36.717
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 63.094

TrapezoidalRealIntegratorTest

test 0.007

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR[LINEAR] 5.425
testInterpolatedLastLIBOR[LOG_LINEAR_UNCORRECTED] 4.491
testInterpolatedLastLIBOR[LOG_LINEAR_CORRECTED] 4.894

ExposureTest

testExpectedPositiveExposure 7.474
testAgainstSwaption 5.612

VarianceGammaModelTest

test 2.739

RootFindersTest

testRootFinders 0.007

FPMLParserTest

testGetSwapProductDescriptor[file=/Users/fries/git/finmath-lib/target/checkout/target/test-classes/fpml/ird-ex01-vanilla-swap.xml}] 0.083

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.169

BusinessdayCalendarTest

testNycCalendar 0.027
testCreateDateFromDateAndOffsetCode 0.008
testCombinedCalendar 0.006
testTargetCalendar 0.001
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.04

DepositTest

testRateValueConsistency 0.004
testEvaluationTime 0
testDepositValue 0.001

InterestRateSwapLegDescriptorTest

testFloatLeg 2.203
testFixLeg 1.583

VarianceGammaModelDescriptorTest

test 41.622

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.065
test 0.053

AcceptanceRejectionRandomNumberGeneratorTest

test 1.197

DayCountConventionTest

testDayCountConvention_30E_360 0.003
testDayCountConvention_ACT_360 0.001
testDayCountConvention_ACT_365 0.001
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.004
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.267

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.526
testProductAADSensitivities[1] 0.4
testProductAADSensitivities[2] 0.686

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 2.501
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 3.422
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 8.421
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 1.657
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 3.228
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 7.607

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.056
testBoothFunctionWithAnalyticDerivative 0.01
testRosenbrockFunctionWithList 0.003
testBoothFunction 0.003
testRosenbrockFunction 0.003
testSmallLinearSystem 0

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.025
testSolveLinearEquationLeastSquarePseudoInverse3 0.001
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.496
test[TERMINAL] 2.328

TestCarrMadan

test 0.055

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.074
testRosenbrockFunctionWithLevenbergMarquard 0.029

MonteCarloBlackScholesModelTest

testDirectValuation 0.077
testProductImplementation 0.031

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.942
testModelRandomVariable[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.013
testEuropeanCallVega[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.089
testEuropeanCallDelta[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.079
testEuropeanCall[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.018
testModelProperties[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.016
testEuropeanAsianBermudanOption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.778
testModelRandomVariable[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.014
testEuropeanCallVega[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.087
testEuropeanCallDelta[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.049
testEuropeanCall[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.012
testModelProperties[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.028
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.812
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.011
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.062
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.058
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.011
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.013
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.793
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.011
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.06
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.06
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.012
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.013

ScheduleGeneratorTest

testPeriodLength 0.019
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 0.522

CapletVolatilitiesTest

testConversions 0.091

VarianceGammaDaxCalibrationTest

test 1.179

CalibrationMultiCurveTest

testMultiCurveCalibration 0.642

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.003
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.412

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[MonteCarloAssetModel [model=BlackScholesModel [initialValue=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@157632c9, ID=0], riskFreeRate=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@6ee12bac, ID=1], volatility=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@55040f2f, ID=2], abstractRandomVariableFactory=RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.0, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=false, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]], initialState=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@64c87930, ID=3]], drift=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@400cff1a, ID=6]], factorLoadings=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@55040f2f, ID=2]], getProcess()=EulerSchemeFromProcessModel [stochasticDriver=BrownianMotionLazyInit [timeDiscretization=TimeDiscretizationFromArray [timeDiscretizationFromArray=[0.0, 0.049999999999999996, 0.09999999999999999, 0.15, 0.19999999999999998, 0.25, 0.3, 0.35, 0.39999999999999997, 0.45, 0.5, 0.5499999999999999, 0.6, 0.65, 0.7, 0.75, 0.7999999999999999, 0.85, 0.9, 0.95, 1.0, 1.05, 1.0999999999999999, 1.15, 1.2, 1.25, 1.3, 1.3499999999999999, 1.4, 1.45, 1.5, 1.55, 1.5999999999999999, 1.65, 1.7, 1.75, 1.8, 1.8499999999999999, 1.9, 1.95, 2.0, 2.05, 2.1, 2.15, 2.1999999999999997, 2.25, 2.3, 2.35, 2.4, 2.4499999999999997, 2.5, 2.55, 2.6, 2.65, 2.6999999999999997, 2.75, 2.8, 2.85, 2.9, 2.9499999999999997, 3.0, 3.05, 3.1, 3.15, 3.1999999999999997, 3.25, 3.3, 3.35, 3.4, 3.4499999999999997, 3.5, 3.55, 3.6, 3.65, 3.6999999999999997, 3.75, 3.8, 3.85, 3.9, 3.9499999999999997, 4.0, 4.05, 4.1, 4.1499999999999995, 4.2, 4.25, 4.3, 4.35, 4.3999999999999995, 4.45, 4.5, 4.55, 4.6, 4.6499999999999995, 4.7, 4.75, 4.8, 4.85, 4.8999999999999995, 4.95, 5.0], timeTickSize=1.1415525114155251E-4], numberOfFactors=1, numberOfPaths=50000, seed=31415, abstractRandomVariableFactory=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]], scheme=EULER_FUNCTIONAL, executor=null]]]-EuropeanOption [maturity=5.0, strike=1.2840254166877414, underlyingIndex=0, nameOfUnderliyng=null]] 9.898
testHedgePerformance[MonteCarloAssetModel [model=BlackScholesModel [initialValue=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@157632c9, ID=0], riskFreeRate=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@6ee12bac, ID=1], volatility=RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@55040f2f, ID=2], abstractRandomVariableFactory=RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.0, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=false, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]], initialState=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@64c87930, ID=3]], drift=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@400cff1a, ID=6]], factorLoadings=[RandomVariableDifferentiableAAD [values=net.finmath.stochastic.Scalar@55040f2f, ID=2]], getProcess()=EulerSchemeFromProcessModel [stochasticDriver=BrownianMotionLazyInit [timeDiscretization=TimeDiscretizationFromArray [timeDiscretizationFromArray=[0.0, 0.049999999999999996, 0.09999999999999999, 0.15, 0.19999999999999998, 0.25, 0.3, 0.35, 0.39999999999999997, 0.45, 0.5, 0.5499999999999999, 0.6, 0.65, 0.7, 0.75, 0.7999999999999999, 0.85, 0.9, 0.95, 1.0, 1.05, 1.0999999999999999, 1.15, 1.2, 1.25, 1.3, 1.3499999999999999, 1.4, 1.45, 1.5, 1.55, 1.5999999999999999, 1.65, 1.7, 1.75, 1.8, 1.8499999999999999, 1.9, 1.95, 2.0, 2.05, 2.1, 2.15, 2.1999999999999997, 2.25, 2.3, 2.35, 2.4, 2.4499999999999997, 2.5, 2.55, 2.6, 2.65, 2.6999999999999997, 2.75, 2.8, 2.85, 2.9, 2.9499999999999997, 3.0, 3.05, 3.1, 3.15, 3.1999999999999997, 3.25, 3.3, 3.35, 3.4, 3.4499999999999997, 3.5, 3.55, 3.6, 3.65, 3.6999999999999997, 3.75, 3.8, 3.85, 3.9, 3.9499999999999997, 4.0, 4.05, 4.1, 4.1499999999999995, 4.2, 4.25, 4.3, 4.35, 4.3999999999999995, 4.45, 4.5, 4.55, 4.6, 4.6499999999999995, 4.7, 4.75, 4.8, 4.85, 4.8999999999999995, 4.95, 5.0], timeTickSize=1.1415525114155251E-4], numberOfFactors=1, numberOfPaths=50000, seed=31415, abstractRandomVariableFactory=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]], scheme=EULER_FUNCTIONAL, executor=null]]]-AbstractMonteCarloProduct [currency=null]] 9.108

BlackScholesCallOptionTest

test 0.278
testDigitalOption 0.011

SwaptionNormalTest

testSwaption 2.02

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 0.577

CurveTest

testCurveFitting 0.065

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 0.941

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.945
testModelRandomVariable[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.016
testEuropeanCallVega[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.2
testEuropeanCallDelta[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.251
testEuropeanCall[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.017
testModelProperties[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.017
testEuropeanAsianBermudanOption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.845
testModelRandomVariable[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.021
testEuropeanCallVega[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.324
testEuropeanCallDelta[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.383
testEuropeanCall[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.02
testModelProperties[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.026
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.788
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.016
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.171
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.207
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.016
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.016
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.805
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.022
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.163
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.206
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.022
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.016

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.06
test 0.013

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.194
testMultiPeriodFloater[NSS-1.000] 0.07
testUnalignedPeriods[NSS-1.000] 0.049
testSinglePeriods[NSS-2.000] 0.1
testMultiPeriodFloater[NSS-2.000] 0.072
testUnalignedPeriods[NSS-2.000] 0.096
testSinglePeriods[NSS-4.000] 0.178
testMultiPeriodFloater[NSS-4.000] 0.156
testUnalignedPeriods[NSS-4.000] 0.291
testSinglePeriods[NSS-8.000] 0.243
testMultiPeriodFloater[NSS-8.000] 0.538
testUnalignedPeriods[NSS-8.000] 0.237
testSinglePeriods[NSS-10.000] 0.289
testMultiPeriodFloater[NSS-10.000] 0.277
testUnalignedPeriods[NSS-10.000] 0.437
testSinglePeriods[NSS-20.000] 0.579
testMultiPeriodFloater[NSS-20.000] 0.707
testUnalignedPeriods[NSS-20.000] 0.617
testSinglePeriods[NSS-40.000] 1.389
testMultiPeriodFloater[NSS-40.000] 1.352
testUnalignedPeriods[NSS-40.000] 1.282
testSinglePeriods[NSS-80.000] 2.652
testMultiPeriodFloater[NSS-80.000] 2.582
testUnalignedPeriods[NSS-80.000] 2.543
testSinglePeriods[NSS-100.000] 3.253
testMultiPeriodFloater[NSS-100.000] 3.258
testUnalignedPeriods[NSS-100.000] 3.177
testSinglePeriods[NSS-200.000] 8.862
testMultiPeriodFloater[NSS-200.000] 7.856
testUnalignedPeriods[NSS-200.000] 7.68
testSinglePeriods[DISCRETE-1.000] 0.098
testMultiPeriodFloater[DISCRETE-1.000] 0.092
testUnalignedPeriods[DISCRETE-1.000] 0.092
testSinglePeriods[DISCRETE-2.000] 0.186
testMultiPeriodFloater[DISCRETE-2.000] 0.172
testUnalignedPeriods[DISCRETE-2.000] 0.182
testSinglePeriods[DISCRETE-4.000] 0.15
testMultiPeriodFloater[DISCRETE-4.000] 0.131
testUnalignedPeriods[DISCRETE-4.000] 0.127
testSinglePeriods[DISCRETE-8.000] 0.217
testMultiPeriodFloater[DISCRETE-8.000] 0.204
testUnalignedPeriods[DISCRETE-8.000] 0.211
testSinglePeriods[DISCRETE-10.000] 0.273
testMultiPeriodFloater[DISCRETE-10.000] 0.267
testUnalignedPeriods[DISCRETE-10.000] 0.254
testSinglePeriods[DISCRETE-20.000] 0.553
testMultiPeriodFloater[DISCRETE-20.000] 0.552
testUnalignedPeriods[DISCRETE-20.000] 0.556
testSinglePeriods[DISCRETE-40.000] 1.225
testMultiPeriodFloater[DISCRETE-40.000] 1.184
testUnalignedPeriods[DISCRETE-40.000] 1.316
testSinglePeriods[DISCRETE-80.000] 2.533
testMultiPeriodFloater[DISCRETE-80.000] 2.488
testUnalignedPeriods[DISCRETE-80.000] 2.471
testSinglePeriods[DISCRETE-100.000] 3.197
testMultiPeriodFloater[DISCRETE-100.000] 3.132
testUnalignedPeriods[DISCRETE-100.000] 3.177
testSinglePeriods[DISCRETE-200.000] 7.793
testMultiPeriodFloater[DISCRETE-200.000] 7.707
testUnalignedPeriods[DISCRETE-200.000] 7.746

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.164

HullWhiteModelTest

testBermudanSwaption 2.86
testZeroCMSSwap 1.833
testBond 0.397
testSwap 2.707
testSwaption 0.531
testCaplet 0.368
testCapletSmile 0.337
testLIBORInArrearsFloatLeg 0
testPutOnMoneyMarketAccount 0.421

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFromArrayFactory TestFunctionBigSum(10000,1,10000,0)] 1.442
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.277
test[RandomVariableFromArrayFactory TestFunctionGeometricSum(10000,1,10000,0)] 2.019
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 1.847
test[RandomVariableFromArrayFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.147
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.079
test[RandomVariableFromArrayFactory TestFunctionSumOfProducts(10000,100,10000,100)] 2.702
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(10000,100,10000,100)] 1.099
test[RandomVariableFromArrayFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 2.146
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.08
test[RandomVariableFromArrayFactory TestFunctionAccrue(10000,100,1,100)] 1.622
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(10000,100,1,100)] 1.092
test[RandomVariableFromArrayFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 19.778
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.783
test[RandomVariableFromArrayFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 20.732
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 6.007
test[RandomVariableFromArrayFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 21.72
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 6.035

MertonModelTest

test 2.968

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 42.643
testVolatilityCalibration[VOLATILITYNORMAL] 68.876

ModelWithProductFactoryTest

bsTest 1.271
hTest 1.269

DiscountCurveNelsonSiegelSvenssonTest

test 0.004

SimpsonRealIntegratorTest

testCos 0.012
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.204
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.106
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@28c4711c] 0.116
test[net.finmath.fouriermethod.products.DigitalOption@3c0a50da] 0.033

FloatingpointDateTest

testLocalDateTime 1.196
test 0.001
testLocalDateLocalDateTimeConsistency 0.001

RandomVariableTest

testAdd[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.002
testCap[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testFloor[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testRandomVariableStandardDeviation[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testGetQuantile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 5.983
testRandomVariableArithmeticSquaredPow[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testRandomVariableStochastic[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testRandomVariableDeterministc[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0
testAdd[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.001
testCap[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.001
testFloor[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testRandomVariableStandardDeviation[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testGetQuantile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 5.678
testRandomVariableArithmeticSquaredPow[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testRandomVariableStochastic[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testRandomVariableDeterministc[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0
testAdd[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0.018
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0.003
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 5.875
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0.008
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@797badd3] 0.001
testAdd[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.002
testCap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.001
testFloor[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testGetQuantile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 5.811
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableDeterministc[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.001
testAdd[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.002
testCap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.001
testFloor[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testGetQuantile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 5.82
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.001
testRandomVariableStochastic[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0
testRandomVariableDeterministc[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0

HestonModelTest

test[xi=0}] 1.752
test[xi=0,5}] 1.369

LibraryTest

testVersionString 0.003
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 1.922

InterestRateProductTest

testBond 1.373
testSwap 1.284
testSwaption 1.361

DiscountCurveSerializationTest

test 0.028

AssetBlackScholesModelDescriptorTest

test 1.22

BarrierOptionsTest

testDownAndInCall 0.026
testDownAndOutPut 0.001
testDownAndInPut 0.001
testUpAndInPut 0.001
testUpAndInCall 0
testUpAndOutPut 0.001
testUpAndOutCall 0
testDownAndOutCall 0.001

LIBORMarketModelHierarchyTest

testModelHierarchy 2.599

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.801
test 2.815
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.157

ForwardCurveNelsonSiegelSvenssonTest

test 0.008

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 3.908
testSwap[SPOT] 2.914
testSwaptionSmile[SPOT] 2.727
testSwaption[SPOT] 2.753
testDigitalCaplet[SPOT] 2.716
testCaplet[SPOT] 2.659
testSwaptionCalibration[SPOT] 15.611
testBond[TERMINAL] 2.779
testSwap[TERMINAL] 2.849
testSwaptionSmile[TERMINAL] 2.669
testSwaption[TERMINAL] 2.922
testDigitalCaplet[TERMINAL] 2.642
testCaplet[TERMINAL] 2.702
testSwaptionCalibration[TERMINAL] 12.957

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.615
test 1.281
testMartingaleProperty 0.001

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.124
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.014
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.029
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

AnalyticFormulasTest

testSABRSkewApproximation 0.002
testBlackScholesPutCallParityATM 0.023
testBachelierOptionImpliedVolatility 0.793
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.025
testSABRCalibration 2.329
testBachelierOptionDelta 0.027

HestonModelDescriptorTest

test 1.517

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.011
constructWithSetAtDefaultTickSize 0.001
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.002
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.006
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0
constructWithBoxedArrayAtBigTickSize 0.001
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0.001
constructWithArrayListAtDefaultTickSize 0

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.715

BlackScholesThetaTest

test 0.109

TestCurvesFromLIBORModel

testStochasticCurves 0.572

LIBORMarketModelValuationTest

testFRA[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 2.615
testBond[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.507
testSwap[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.393
testSwaptionSmile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.391
testSwaption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.445
testDigitalCaplet[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.302
testLIBORInArrearsConvexity[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.354
testCaplet[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.343
testCapletSmile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 1.303
testSwaptionCalibration[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]] 0.244
testFRA[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.586
testBond[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.414
testSwap[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.36
testSwaptionSmile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.296
testSwaption[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.365
testDigitalCaplet[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.325
testLIBORInArrearsConvexity[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.33
testCaplet[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.37
testCapletSmile[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 1.3
testSwaptionCalibration[RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=false]] 0.053
testFRA[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 2.061
testBond[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.985
testSwap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.89
testSwaptionSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.727
testSwaption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.838
testDigitalCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.759
testLIBORInArrearsConvexity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.75
testCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.742
testCapletSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.69
testSwaptionCalibration[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.051
testFRA[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.878
testBond[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.828
testSwap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.768
testSwaptionSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.698
testSwaption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 3.276
testDigitalCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.902
testLIBORInArrearsConvexity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.761
testCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 3.883
testCapletSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 1.848
testSwaptionCalibration[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=RandomVariableFromArrayFactory [isUseDoublePrecisionFloatingPointImplementation=true]]]] 0.05

VarianceGammaTest

testCharacteristicFunction 1.603